Abstract
We propose a differential game as a model for the optimal control of systems affected by an unpredictable disturbance, when the controller follows a policy of total risk aversion. We study the problem of small disturbances of a given deterministic system, and estimate the difference between the value functions of the unperturbed and of the perturbed problem.
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© 1991 Springer-Verlag
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Bardi, M., Sartori, C. (1991). Differential games and totally risk-averse optimal control of systems with small disturbances. In: Hämäläinen, R.P., Ehtamo, H.K. (eds) Differential Games — Developments in Modelling and Computation. Lecture Notes in Control and Information Sciences, vol 156. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0040230
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DOI: https://doi.org/10.1007/BFb0040230
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